Tips¶

  • 默认的极值处理方式均调整为为0.01/0.99放缩,前值为5倍标准差处理
high liquidity set
 date        code       
2010-01-31  000001.XSHE    1
            000002.XSHE    1
            000004.XSHE    0
            000005.XSHE    1
            000006.XSHE    1
Name: amount3M, dtype: int32

summary of all factors¶

  • 非行业中性化(全市场)
start_date:2010-01-01 / end_date:2022-12-31
skew adjskew distance mom6x3 mom9x3 mom12x3 mom1M mom2M mom3M mom6M turnover3M amount3M stddev_diff stddev ep circulating_market_cap
ic.mean -0.0228 -0.0252 0.0015 0.0009 0.0069 0.0090 -0.0419 -0.0505 -0.0445 -0.0330 -0.0422 -0.0393 -0.0078 -0.0385 0.0110 -0.0123
ic.t-stats -4.7346 -5.4992 0.1356 0.1148 0.7518 0.9592 -4.5227 -4.7153 -4.2887 -3.0849 -3.8007 -4.5036 -1.4424 -3.0906 1.5631 -1.3657
AnnRet_Long -0.0631 -0.0609 0.0273 -0.0237 -0.0058 0.0096 -0.1463 -0.1504 -0.1493 -0.1172 -0.1189 -0.1245 -0.0772 -0.1316 -0.0026 -0.0712
AnnRet_short 0.0178 0.0397 0.0226 -0.0197 -0.0604 -0.0506 0.0257 0.0839 0.0669 0.0645 0.0795 0.1421 -0.0520 0.0493 0.0037 0.1681
AnnRet -0.0809 -0.1006 0.0047 -0.0040 0.0546 0.0601 -0.1719 -0.2343 -0.2163 -0.1817 -0.1984 -0.2666 -0.0252 -0.1809 -0.0063 -0.2393
SR_Long -1.2742 -1.3446 0.2515 -0.2369 -0.0554 0.0888 -1.3972 -1.2327 -1.1876 -0.9617 -1.0610 -1.0314 -1.0832 -1.1026 -0.0193 -0.4851
SR_Short 0.3605 0.8369 0.1808 -0.2561 -0.7717 -0.6149 0.2894 0.7633 0.6396 0.5825 0.5317 1.0871 -0.8670 0.3160 0.0492 1.5498
SR -0.9711 -1.2559 0.0219 -0.0262 0.3344 0.3499 -1.0203 -1.1427 -1.0630 -0.8597 -0.8414 -1.2636 -0.2412 -0.7520 -0.0427 -1.0186
TO_Long 0.8872 0.8867 0.2880 0.5175 0.3709 0.3140 0.8619 0.6243 0.5150 0.3687 0.2387 0.1687 0.9489 0.6880 0.1019 0.0497
TO_Short 0.8816 0.8821 0.4891 0.5944 0.4543 0.3767 0.8966 0.7022 0.5939 0.4534 0.1791 0.2441 0.9482 0.4880 0.0876 0.1134
  • 行业中性化(全市场)
start_date:2010-01-01 / end_date:2022-12-31
skew_GN adjskew_GN distance_GN mom6x3_GN mom9x3_GN mom12x3_GN mom1M_GN mom2M_GN mom3M_GN mom6M_GN turnover3M_GN amount3M_GN stddev_diff_GN stddev_GN ep_GN circulating_market_cap_GN
ic.mean -0.0228 -0.0254 0.0086 -0.0012 0.0013 0.0013 -0.0495 -0.0548 -0.0498 -0.0382 -0.0438 -0.0395 -0.0092 -0.0398 0.0045 -0.0118
ic.t-stats -5.4243 -6.3460 0.8524 -0.1965 0.1875 0.1788 -6.3354 -6.0394 -5.5337 -4.2330 -4.7388 -5.2646 -2.0405 -3.5914 0.7979 -1.5362
AnnRet_Long -0.0647 -0.0673 0.0571 -0.0233 -0.0089 -0.0002 -0.1539 -0.1502 -0.1499 -0.1175 -0.1200 -0.1303 -0.0729 -0.1313 0.0103 -0.0666
AnnRet_short 0.0181 0.0410 0.0080 0.0041 -0.0081 -0.0065 0.0611 0.1182 0.1074 0.1008 0.0973 0.0973 -0.0389 0.0709 0.0267 0.0346
AnnRet -0.0827 -0.1083 0.0491 -0.0274 -0.0009 0.0063 -0.2150 -0.2684 -0.2573 -0.2183 -0.2173 -0.2276 -0.0340 -0.2022 -0.0164 -0.1012
SR_Long -1.4674 -1.6229 0.6193 -0.2641 -0.0990 -0.0018 -1.6490 -1.3657 -1.3224 -1.0725 -1.1764 -1.1445 -1.1357 -1.2953 0.0918 -0.4803
SR_Short 0.4147 0.8932 0.0714 0.0665 -0.1451 -0.1159 0.8212 1.2874 1.2118 1.0994 0.8490 1.2823 -0.7640 0.5028 0.3952 0.6428
SR -1.1762 -1.5221 0.2650 -0.2354 -0.0073 0.0498 -1.5500 -1.5935 -1.4782 -1.2240 -1.1708 -1.4859 -0.3741 -0.9466 -0.1360 -0.6679
TO_Long 0.8847 0.8859 0.3012 0.5199 0.3739 0.3149 0.8625 0.6252 0.5179 0.3725 0.2422 0.1747 0.9492 0.6940 0.1240 0.0515
TO_Short 0.8796 0.8826 0.4622 0.5856 0.4474 0.3746 0.8895 0.6955 0.5854 0.4462 0.2282 0.2115 0.9467 0.5428 0.0956 0.0727
  • 行业中性化因子(全市场) 2016~
start_date:2016-01-01 / end_date:2022-12-31
skew_GN adjskew_GN distance_GN mom6x3_GN mom9x3_GN mom12x3_GN mom1M_GN mom2M_GN mom3M_GN mom6M_GN turnover3M_GN amount3M_GN stddev_diff_GN stddev_GN ep_GN circulating_market_cap_GN
ic.mean -0.0212 -0.0216 0.0035 -0.0011 0.0005 0.0036 -0.0429 -0.0442 -0.0374 -0.0290 -0.0508 -0.0253 -0.0109 -0.0364 0.0071 0.0050
ic.t-stats -3.7721 -4.0036 0.2691 -0.1287 0.0475 0.3446 -4.0492 -3.5464 -3.1647 -2.3914 -4.3503 -2.5555 -1.7325 -2.7111 0.8792 0.4859
AnnRet_Long -0.0463 -0.0406 0.0281 -0.0136 0.0060 0.0225 -0.1349 -0.1365 -0.1233 -0.0821 -0.1553 -0.0855 -0.0886 -0.1678 0.0380 0.0085
AnnRet_short 0.0318 0.0540 0.0023 -0.0110 -0.0133 -0.0169 0.0156 0.0526 0.0333 0.0291 0.0190 0.0264 -0.0313 -0.0126 0.0233 0.0198
AnnRet -0.0781 -0.0946 0.0259 -0.0027 0.0193 0.0394 -0.1505 -0.1890 -0.1566 -0.1112 -0.1742 -0.1119 -0.0574 -0.1552 0.0147 -0.0113
SR_Long -1.1720 -1.1788 0.3320 -0.1675 0.0659 0.2337 -1.4709 -1.2211 -1.1464 -0.7591 -1.5367 -0.8442 -1.3585 -1.6323 0.3985 0.0720
SR_Short 0.8309 1.3360 0.0254 -0.1840 -0.2215 -0.2762 0.2294 0.7113 0.4641 0.3920 0.3044 0.5112 -0.6005 -0.1383 0.3493 0.3862
SR -1.3122 -1.4907 0.1577 -0.0245 0.1580 0.3002 -1.1504 -1.1922 -1.0360 -0.7054 -1.1889 -0.9266 -0.6629 -0.9004 0.1341 -0.0854
TO_Long 0.8865 0.8893 0.2688 0.5177 0.3715 0.3115 0.8610 0.6180 0.5118 0.3660 0.2425 0.1745 0.9536 0.6885 0.1189 0.0505
TO_Short 0.8851 0.8902 0.4408 0.5746 0.4374 0.3668 0.8857 0.6883 0.5745 0.4324 0.2328 0.2085 0.9555 0.5556 0.0919 0.0812
  • 行业中性化因子(高流动性股票池)
start_date:2010-01-01 / end_date:2022-12-31
skew_GN adjskew_GN distance_GN mom6x3_GN mom9x3_GN mom12x3_GN mom1M_GN mom2M_GN mom3M_GN mom6M_GN turnover3M_GN amount3M_GN stddev_diff_GN stddev_GN ep_GN circulating_market_cap_GN
ic.mean -0.0204 -0.0137 -0.0039 0.0173 0.0207 0.0230 -0.0471 -0.0486 -0.0395 -0.0173 -0.0490 -0.0210 0.0041 -0.0301 0.0340 0.0154
ic.t-stats -4.1446 -2.8235 -0.3410 2.0095 2.1907 2.3551 -5.0088 -4.6888 -3.9642 -1.6545 -4.0443 -2.7782 0.6717 -2.5441 3.5670 1.3446
AnnRet_Long -0.0642 -0.0375 0.0033 0.0294 0.0444 0.0434 -0.1322 -0.1203 -0.1065 -0.0714 -0.1418 -0.0493 -0.0438 -0.1241 0.0509 0.0335
AnnRet_short 0.0336 0.0315 0.0008 -0.0482 -0.0740 -0.0639 0.0471 0.0903 0.0703 0.0060 0.0654 0.0221 -0.0644 0.0150 -0.0950 -0.0375
AnnRet -0.0978 -0.0690 0.0025 0.0775 0.1184 0.1073 -0.1793 -0.2106 -0.1768 -0.0774 -0.2072 -0.0714 0.0206 -0.1392 0.1459 0.0710
SR_Long -1.0015 -0.7554 0.0279 0.2682 0.3843 0.3710 -1.1896 -1.0204 -0.9405 -0.5758 -1.0922 -0.4345 -0.5759 -1.0548 0.3434 0.2082
SR_Short 0.5624 0.5682 0.0074 -0.6271 -0.8787 -0.8289 0.5146 0.9460 0.6993 0.0655 0.6751 0.3645 -0.8217 0.1499 -1.1369 -0.5263
SR -1.0853 -0.7961 0.0127 0.5329 0.7427 0.6591 -1.0559 -1.1925 -1.0203 -0.4271 -1.0169 -0.5382 0.1716 -0.7099 0.8285 0.3737
TO_Long 0.8979 0.9010 0.3866 0.5558 0.4251 0.3715 0.8850 0.7155 0.5887 0.4307 0.3277 0.1955 0.9679 0.7265 0.1952 0.0683
TO_Short 0.9003 0.9030 0.5718 0.6373 0.5272 0.4686 0.9105 0.7561 0.6369 0.4858 0.2498 0.4367 0.9597 0.6390 0.2649 0.2659

double sort (mom12x3 - turnover3M) universe = high liquidity¶

  • row data(3x3)
avg_annual_excess_return_eq(%)_with_mkt=3.82% 
 turnover3M     1     2      3
mom12x3                      
1          -2.23 -3.48 -10.41
2           4.45  2.21  -5.51
3           8.90  7.08  -1.30
avg_anual_excess_return_cap(%)_with_mkt=3.44% 
 turnover3M     1     2      3
mom12x3                      
1          -3.61 -5.93 -13.23
2           4.97  0.59  -8.93
3           3.48  3.61  -3.97
avg_number_of_stocks 
 turnover3M       1       2       3
mom12x3                           
1           118.65  105.60   95.44
2           113.63  106.21   99.19
3            87.41  107.21  124.69
  • raw data(5x5)
avg_annual_excess_return_eq(%)_with_mkt=3.82% 
 turnover3M      1      2      3     4      5
mom12x3                                     
1           -4.96  -4.31  -5.19 -7.83 -17.02
2            1.73   0.93   1.05 -2.19  -8.25
3            6.20   1.24  -0.19 -1.01  -8.84
4            5.19   6.55   1.74  0.45  -5.37
5           12.28  12.73  10.25  5.86  -4.11
avg_anual_excess_return_cap(%)_with_mkt=3.44% 
 turnover3M     1      2     3     4          5
mom12x3                                       
1          -5.92  -6.53 -7.75 -9.68 -18.879999
2           0.15  -0.88 -0.01 -4.13 -12.730000
3           7.06  -3.29 -2.99 -5.42 -11.960000
4           2.87   4.09 -2.26 -3.29  -9.000000
5           5.37  11.20  5.55  1.66  -8.760000
avg_number_of_stocks 
 turnover3M      1      2      3      4      5
mom12x3                                      
1           41.01  40.63  38.82  36.54  34.99
2           47.77  39.93  37.61  34.96  31.10
3           42.30  38.57  38.32  36.70  35.56
4           36.08  38.06  38.40  39.59  39.24
5           24.84  34.17  38.30  43.58  50.97
  • industry nutrualized data(3x3)
avg_annual_excess_return_eq(%)_with_mkt=3.82% 
 turnover3M_GN     1     2     3
mom12x3_GN                     
1             -2.02 -1.16 -9.40
2              4.90  2.44 -6.22
3              8.97  5.49 -1.52
avg_anual_excess_return_cap(%)_with_mkt=3.44% 
 turnover3M_GN     1     2      3
mom12x3_GN                      
1             -3.02 -3.05 -12.47
2              4.10  2.33 -10.12
3              5.22  1.86  -3.82
avg_number_of_stocks 
 turnover3M_GN       1       2       3
mom12x3_GN                           
1              113.11  102.60   95.60
2              109.47  108.87   92.28
3               88.73   99.15  123.02
  • industry nutrualized data(5x5)
avg_annual_excess_return_eq(%)_with_mkt=3.82% 
 turnover3M      1      2      3     4      5
mom12x3                                     
1           -4.96  -4.31  -5.19 -7.83 -17.02
2            1.73   0.93   1.05 -2.19  -8.25
3            6.20   1.24  -0.19 -1.01  -8.84
4            5.19   6.55   1.74  0.45  -5.37
5           12.28  12.73  10.25  5.86  -4.11
avg_anual_excess_return_cap(%)_with_mkt=3.44% 
 turnover3M     1      2     3     4          5
mom12x3                                       
1          -5.92  -6.53 -7.75 -9.68 -18.879999
2           0.15  -0.88 -0.01 -4.13 -12.730000
3           7.06  -3.29 -2.99 -5.42 -11.960000
4           2.87   4.09 -2.26 -3.29  -9.000000
5           5.37  11.20  5.55  1.66  -8.760000
avg_number_of_stocks 
 turnover3M      1      2      3      4      5
mom12x3                                      
1           41.01  40.63  38.82  36.54  34.99
2           47.77  39.93  37.61  34.96  31.10
3           42.30  38.57  38.32  36.70  35.56
4           36.08  38.06  38.40  39.59  39.24
5           24.84  34.17  38.30  43.58  50.97

details of mom12x3_GN¶

收益曲线和表格指标,均是针对超额收益,benchmark用的是equal weighted

note: mom12x3在流动性差的股票体现反转特性,在流动性高的股票呈现趋势特性